MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Instrukcja Użytkownika Pobierz pdf (Strona 18)

R2013b

4-2

Support for Numerix CrossAsset Integration Layer (CAIL) API

Support for accessing Numerix instruments and risk models.

Class Purpose

numerix Create a numerix object to set up the Numerix CrossAsset

Integration Layer (CAIL) environment.

Method Purpose

numerix.parseResults

Converts Numerix CAIL data to MATLAB

data types.

Kirk's approximation and Bjerksund-Stensland closed-form pricing

models for spread options

Support pricing and sensitivity of spread options for the energy market using closed-form

solutions.

Function Purpose

spreadbykirk Price European spread options using the Kirk pricing model.

spreadsensbykirk Calculate European spread option prices and sensitivities

using the Kirk pricing model.

spreadbybjs Price European spread options using the Bjerksund-Stensland

pricing model.

spreadsensbybjs Calculate European spread option prices and sensitivities

using the Bjerksund-Stensland pricing model.

Finite difference and Monte Carlo simulation pricing for American spread

options

Support pricing and sensitivity of spread options for the energy market using Monte

Carlo simulation.

Function Purpose

spreadbyfd Price European or American spread options using the

Alternate Direction Implicit (ADI) finite difference method.

1 2 ... 13 14 15 16 17 18 19 20 21 22 23 ... 29 30

Brak uwag

MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Instrukcja Użytkownika Strona 18